This study empirically compares the pricing efficiency of Exchange Traded Funds (ETFs) across countries in terms of the deviations of trading price from Net Asset Value (NAV) as well as the persistence of such deviations. A sample of 17 ETFs tracking popular equity indices of five dominant...

This paper is amongst the first to investigate weak-form efficiency of the most developed (G-20) countries in the world. It also measures the impact of the 2007 financial crisis on the stock markets of these countries, in terms of their efficiency. Serial correlation test, ADF unit root test, Lo...

In a first of its kind, this paper examines the issue of sectoral efficiency of the Indian Stock Market. For this, daily data for 11 sectoral indices on NSE viz. Auto, Bank, Energy, Finance, FMCG, IT, Media, Metal, Pharma, PSU Banks and Realty Index have been used. The study period spans from...

The present study investigates the pricing efficiency and the trading characteristics of index ETFs in India. Theoretically, ETF prices are expected to closely track their NAVs. The deviations, if any, are expected to be eliminated quickly due to the arbitrage mechanism in place. In this study,...